Lies, Damn Lies and OLS Weights: Part I

Tymon Słoczyński's 2022 Restat

Tymon Słoczyński’s “Interpreting OLS Estimands When Treatment Effects are Heterogenous: Smaller Groups Get Larger Weights” was published in 2022 Review of Economics and Statistics. It’s short at 9 pages, beautifully written and full of important lessons as well as surprises. It’s one of my favorite econometrics papers published in the last year. It pr…